Mendelian randomization (MR) is a powerful approach for assessing the causal effect of putative risk factors on an outcome, using genetic variants as instrumental variables. The methodology and application developed in the framework of MR have been dramatically improved, taking advantage of the many public genome‐wide association study (GWAS) data. The availability of summary‐level data allowed to perform numerous MR studies especially for complex diseases, pinpointing modifiable exposures causally related to increased or decreased disease risk. Multiple sclerosis (MS) is a complex multifactorial disease whose aetiology involves both genetic and non‐genetic risk factors and their interplay. Previous observational studies have revealed associations between candidate modifiable exposures and MS risk; although being prone to confounding, and reverse causation, these studies were unable to draw causal conclusions. MR analysis addresses the limitations of observational studies and allows to establish reliable and accurate causal conclusions. Here, we systematically reviewed the studies evaluating the causal effect, through MR, of genetic and non‐genetic exposures on MS risk. Among 107 papers found, only 42 were eligible for final evaluation and qualitative synthesis. We found that, above all, low vitamin D levels and high adult body mass index (BMI) appear to be uncontested risk factors for increased MS risk.